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On the Application of Portfolio Theory to Depository Financial Intermediaries

Citations

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Cited by:

  1. Arturo Galindo & Alejandro Micco & Andrew Powell, 2004. "Loyal Lenders or Fickle Financiers: Foreign Banks in Latin America," Business School Working Papers banksla, Universidad Torcuato Di Tella.
  2. Moshe Buchinsky & Oved Yosha, 1995. "Evaluating the Probability of Failure of a Banking Firm," Cowles Foundation Discussion Papers 1108, Cowles Foundation for Research in Economics, Yale University.
  3. Arteta, Carlos, 2002. "Exchange Rate Regimes and Financial Dollarization: Does Flexibility Reduce Bank Currency Mismatches?," Center for International and Development Economics Research, Working Paper Series qt9jb1p0jg, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
  4. Franck Martin, 1995. "Concurrence bancaire, jeux séquentiels et information complète," Revue Économique, Programme National Persée, vol. 46(2), pages 301-324.
  5. Guillermo Alger & Ingela Alger, 1999. "Liquid Assets in Banks: Theory and Practice," Boston College Working Papers in Economics 446, Boston College Department of Economics.
  6. repec:cty:dpaper:10.1111/j.1468-036x.2007.00372.x is not listed on IDEAS
  7. Subarna K. Samanta & Ali H. Mohamad-Zadeh, 1992. "Bank's Portfolio Management under Uncertainty," The American Economist, Sage Publications, vol. 36(2), pages 30-38, October.
  8. Ralf Bebenroth & Diemo Dietrich & Uwe Vollmer, 2009. "Bank regulation and supervision in bank-dominated financial systems: a comparison between Japan and Germany," European Journal of Law and Economics, Springer, vol. 27(2), pages 177-209, April.
  9. Mirakhor, Abbas, 1987. "Analysis of Short-Term Asset Concentration in Islamic Banking," MPRA Paper 56029, University Library of Munich, Germany.
  10. Lucas, Deborah & McDonald, Robert L., 1987. "Bank portfolio choice with private information about loan quality : Theory and implications for regulation," Journal of Banking & Finance, Elsevier, vol. 11(3), pages 473-497, September.
  11. Claudia M. Buch & John C. Driscoll & Charlotte Ostergaard, 2010. "Cross‐Border Diversification in Bank Asset Portfolios," International Finance, Wiley Blackwell, vol. 13(1), pages 79-108, March.
  12. Huang, Jia & Chen, Zheng, 2021. "Optimal risk asset allocation of a loss-averse bank with partial information under inflation risk," Finance Research Letters, Elsevier, vol. 38(C).
  13. Banal-Estanol, A. & Ottaviani, M., 2006. "Bank mergers and diversification: implications for competition policy," Working Papers 06/11, Department of Economics, City University London.
  14. William P. Osterberg & James B. Thomson, 1990. "Optimal financial structure and bank capital requirements: an empirical investigation," Working Papers (Old Series) 9007, Federal Reserve Bank of Cleveland.
  15. Freixas, Xavier & Loranth, Gyongyi & Morrison, Alan D., 2007. "Regulating financial conglomerates," Journal of Financial Intermediation, Elsevier, vol. 16(4), pages 479-514, October.
  16. Schlütter, Sebastian & Fianu, Emmanuel Senyo & Gründl, Helmut, 2022. "Responsible investments in life insurers' optimal portfolios under solvency constraints," ICIR Working Paper Series 45/22, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  17. Victor Aguirregabiria & Robert Clark & Hui Wang, 2016. "Diversification of geographic risk in retail bank networks: evidence from bank expansion after the Riegle-Neal Act," RAND Journal of Economics, RAND Corporation, vol. 47(3), pages 529-572, August.
  18. repec:kap:iaecre:v:14:y:2008:i:2:p:142-155 is not listed on IDEAS
  19. Luigi Bonatti & Andrea Fracasso & Roberto Tamborini, 2021. "Unconventional Policy Instruments and Transmission Channels:A State-Contingent Toolbox for the ECB," DEM Working Papers 2021/05, Department of Economics and Management.
  20. Claudia M. Buch, 2000. "Capital Market Integration in Euroland: The Role of Banks," German Economic Review, Verein für Socialpolitik, vol. 1(4), pages 443-464, November.
  21. Stolz, Stéphanie, 2002. "The Relationship between Bank Capital, Risk-Taking, and Capital Regulation: A Review of the Literature," Kiel Working Papers 1105, Kiel Institute for the World Economy (IfW Kiel).
  22. Oet, Mikhail V. & Ong, Stephen J., 2019. "From organization to activity in the US collateralized interbank market," Research in International Business and Finance, Elsevier, vol. 50(C), pages 472-485.
  23. Melvin Ayogu & Hashem Dezhbakhsh, 2004. "Strategic competition in the banking industry," Applied Financial Economics, Taylor & Francis Journals, vol. 14(12), pages 835-845.
  24. Jean-Michel Courtault, 1993. "Substitution et complémentarité des actifs financiers: le cas Moyenne-Variance," Working Papers halshs-00447527, HAL.
  25. Heid, Frank & Porath, Daniel & Stolz, Stéphanie, 2003. "Does capital regulation matter for bank behavior? Evidence for German savings banks," Kiel Working Papers 1192, Kiel Institute for the World Economy (IfW Kiel).
  26. Hussein, Kassim, 2010. "Bank level stability factors and consumer confidence – a comparative study of Islamic and conventional banks’ product mix," MPRA Paper 21800, University Library of Munich, Germany.
  27. Warren P. Hogan & Ian G. Sharpe, 1984. "Regulation, Risk and the Pricing of Australian Bank Shares, 1957–1976," The Economic Record, The Economic Society of Australia, vol. 60(1), pages 34-44, March.
  28. Luca Giacó & Patrick Musso, 1998. "Réglementation des fonds propres et dynamique de la firme bancaire," Revue Française d'Économie, Programme National Persée, vol. 13(2), pages 289-309.
  29. Jean-Charles Rochet, 1992. "Concurrence imparfaite et stratégie bancaire," Revue Économique, Programme National Persée, vol. 43(2), pages 261-276.
  30. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2007. "Mean-variance portfolio selection with `at-risk' constraints and discrete distributions," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3761-3781, December.
  31. Carlos Alberto Piscarreta Pinto Ferreira, 2023. "Drivers of Sovereign Bond Demand – The Case of Japans," Working Papers REM 2023/0264, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  32. Flannery, Mark J. & Lin, Leming & Wang, Luxi, 2022. "Housing booms and bank growth," Journal of Financial Intermediation, Elsevier, vol. 52(C).
  33. Doris Neuberger, 1991. "Risk taking by banks and captial accumulation: A portfolio approach," Journal of Economics, Springer, vol. 54(3), pages 283-303, October.
  34. Buch, Claudia M., 1999. "Why Do Banks Go Abroad? - Evidence from German Data," Kiel Working Papers 948, Kiel Institute for the World Economy (IfW Kiel).
  35. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2021. "Regulation of bank proprietary trading post 2007–09 crisis: An examination of the Basel framework and Volcker rule," Journal of International Money and Finance, Elsevier, vol. 119(C).
  36. Santos, Joao A. C., 1999. "Bank capital and equity investment regulations," Journal of Banking & Finance, Elsevier, vol. 23(7), pages 1095-1120, July.
  37. S.M. Ali Abbas & Raphael Espinoza, 2016. "Why Do Banks in Developing Countries Hold Government Securities?," UCL SSEES Economics and Business working paper series 2016-1, UCL School of Slavonic and East European Studies (SSEES).
  38. Thanassoulis, John, 2014. "Bank pay caps, bank risk, and macroprudential regulation," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 139-151.
  39. Gordon J. Alexander & Alexandre M. Baptista, 2017. "Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(4), pages 603-634, June.
  40. Hassan, M. Kabir & Farhat, Joseph & Al-Zu'Bi, Bashir, 2003. "Dividend Signaling Hypothesis And Short-Term Asset Concentration Of Islamic Interest-Free Banking," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 11, pages 2-30.
  41. Deborah Lucas & Robert L. McDonald, 1987. "Bank Financing and Investment Decisions with Asymmetric Information," NBER Working Papers 2422, National Bureau of Economic Research, Inc.
  42. de Haas, Ralph & van Horen, Neeltje, 2009. "The strategic behavior of banks during a financial crisis; evidence from the syndicated loan market," MPRA Paper 14164, University Library of Munich, Germany.
  43. Paris, Francesco M., 2005. "Selecting an optimal portfolio of consumer loans by applying the state preference approach," European Journal of Operational Research, Elsevier, vol. 163(1), pages 230-241, May.
  44. Kensuke Fukunaga & Daisuke Miyakawa, 2022. "Supply Chain Network and Credit Supply," IMES Discussion Paper Series 22-E-08, Institute for Monetary and Economic Studies, Bank of Japan.
  45. Paul Glasserman & Wanmo Kang, 2014. "OR Forum—Design of Risk Weights," Operations Research, INFORMS, vol. 62(6), pages 1204-1220, December.
  46. Frederick T. Furlong & Michael C. Keeley, 1991. "A reexamination of mean-variance analysis of bank capital regulation ( reprinted from Journal of Banking and Finance)," Economic Review, Federal Reserve Bank of San Francisco, issue Sum, pages 40-48.
  47. Randall McFadden, 2008. "Regulatory Optimal Bank Size," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(2), pages 142-155, May.
  48. Patrick Artus & Claude Jessua, 1996. "Le comportement des banques face à des fortes modifications des flux d'épargne et de financement," Revue Économique, Programme National Persée, vol. 47(3), pages 719-729.
  49. Michel Dietsch, 1993. "Economies of scale and scope in French commercial banking industry," Journal of Productivity Analysis, Springer, vol. 4(1), pages 35-50, June.
  50. Jenkins Brian C. & Salemi Michael K., 2020. "Risk averse banks and excess reserve fluctuations," The B.E. Journal of Macroeconomics, De Gruyter, vol. 20(1), pages 1-19, January.
  51. Le Quang, Gaëtan, 2021. "“Taking Diversity Into Account”: Real effects of accounting measurement on asset allocation," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 135-143.
  52. João A. C. Santos, 2000. "Bank capital regulation in contemporary banking theory: a review of the literature," BIS Working Papers 90, Bank for International Settlements.
  53. Albert Banal‐Estañol & Marco Ottaviani, 2007. "Bank Mergers and Diversification: Implications for Competition Policy," European Financial Management, European Financial Management Association, vol. 13(3), pages 578-590, June.
  54. M. Kabir Hassan & M. Ershad Hussain, 2006. "Basel II and Bank Credit Risk: Evidence from the Emerging Markets," NFI Working Papers 2006-WP-10, Indiana State University, Scott College of Business, Networks Financial Institute.
  55. Alexander, Gordon J. & Baptista, Alexandre M., 2009. "Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 65-92, January.
  56. Stolz, Stéphanie & Wedow, Michael, 2011. "Banks' regulatory capital buffer and the business cycle: Evidence for Germany," Journal of Financial Stability, Elsevier, vol. 7(2), pages 98-110, June.
  57. Buch, Claudia M., 2000. "Information or Regulation: What Is Driving the International Activities of Commercial Banks?," Kiel Working Papers 1011, Kiel Institute for the World Economy (IfW Kiel).
  58. Eman Hossain & Jannatul Ferdous & Nahid Farzana, 2012. "Some Imperative Issues and Challenges in Implementing Basel II for Developing Economies with Special Reference to Bangladesh," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 2(4), pages 298-298.
  59. Richard W. Kopcke, 2000. "Deposit insurance, capital requirements, and financial stability," Working Papers 00-3, Federal Reserve Bank of Boston.
  60. Patrick Van Roy, 2008. "Capital Requirements and Bank Behaviour in the Early 1990: Cross-Country Evidence," International Journal of Central Banking, International Journal of Central Banking, vol. 4(3), pages 29-60, September.
  61. Fatma Chakroun & Fathi Abid, 2015. "Optimal CAR simulation," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-31, December.
  62. Ben R. Craig, 1996. "Competing currencies: back to the future?," Economic Commentary, Federal Reserve Bank of Cleveland, issue Oct.
  63. Zhuang Cai & Peter Wheale, 2009. "Managing Efficient Capital Allocation with Emphasis on the Chinese Experience," Journal of Business Ethics, Springer, vol. 87(1), pages 111-135, April.
  64. Alexander, Gordon J. & Baptista, Alexandre M., 2006. "Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1631-1660, October.
  65. Gaëtan Le Quang, 2018. ""Taking Diversity into Account": Real Effects of Accounting Measurement on Asset Allocation," Working Papers hal-04141805, HAL.
  66. Paul Glasserman & Wanmo Kang, 2014. "Design of Risk Weights," Working Papers 14-06, Office of Financial Research, US Department of the Treasury.
  67. Kevin Greenidge & Wendell Mcclean, 2000. "The impact of regulatory measures on commercial bank interest rates: A micro analysis of the Barbados case," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 6(3), pages 544-556, August.
  68. Patrick Van Roy, 2005. "The impact of the 1988 Basel Accord on banks' capital ratios and credit risk-taking: an international study," Finance 0509013, University Library of Munich, Germany.
  69. Banal-Estanol, A. & Ottaviani, M., 2006. "Bank mergers and diversification: implications for competition policy," Working Papers 1454, Department of Economics, City University London.
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